No it doesn't, very few HU's actually come with the rec built into the HU.
It just means the HU is capable of having a rec plug into the back of it.
Same as with HUs that use to say "Changer" Ready. It didn't actually have a CD Changer in it, just meant one could be attach to it.
If your headunit didn't say XM/Sirius Ready then you would need to get a FM Mod one that has the seperate little display.
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The deal with the MSPs is actually quite good, you get the rec + antenna Free with 1 yr. PLUS think you get 1-3 months free for signing up for a year.
Its up to you though.